Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 9 7 5
Score -1.81 -2.91 -4.2
Market Cap (Millions USD) 60494.49 58269.45 57933.43
Predicted Beta 0.48 0.48 0.5
Idiosyncratic Volatility 1.92 1.65 2.79

Annualized return and volatility

EFA
Annualized Return 0.0528
Annualized Std Dev 0.2111
Annualized Sharpe (Rf=0%) 0.2502

Row

Daily Return Statistics

EFA
Observations 4690.0000
NAs 424.0000
Minimum -0.1116
Quartile 1 -0.0054
Median 0.0005
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0065
Maximum 0.1589
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0133
Skewness 0.1483
Kurtosis 13.3633

Downside Risk

EFA
Semi Deviation 0.0096
Gain Deviation 0.0097
Loss Deviation 0.0104
Downside Deviation (MAR=210%) 0.0142
Downside Deviation (Rf=0%) 0.0094
Downside Deviation (0%) 0.0094
Maximum Drawdown 0.6104
Historical VaR (95%) -0.0200
Historical ES (95%) -0.0320
Modified VaR (95%) -0.0174
Modified ES (95%) -0.0174
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-09 2014-06-06 -0.6104 1690 348 1342
2001-08-28 2003-03-12 2003-10-14 -0.3130 544 392 152
2014-07-07 2016-02-11 2017-05-04 -0.2311 726 413 313
2018-01-29 2018-12-24 NA -0.2207 490 233 NA
2006-05-10 2006-06-13 2006-10-26 -0.1576 121 24 97

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec EFA
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA NA NA NA NA NA NA 0.0 -0.5 2.1 0.0 0.0 1.6
2002 -0.2 1.9 0.6 0.5 0.0 -0.8 -3.5 0.0 2.4 1.6 0.0 0.0 2.4
2003 0.0 0.0 1.6 0.4 0.0 0.6 0.0 0.0 3.3 0.0 2.0 0.0 8.0
2004 0.0 1.3 1.3 0.0 0.2 -1.3 0.0 0.1 1.6 0.2 1.7 0.0 5.3
2005 0.6 0.6 -0.2 0.0 0.6 -0.1 1.0 1.2 0.0 0.9 1.9 0.0 6.5
2006 0.3 1.0 0.0 0.0 0.6 0.0 -0.7 0.7 0.0 -0.2 -0.1 0.0 1.7
2007 0.8 -1.0 0.0 -0.1 0.7 0.0 0.2 0.0 1.3 -2.1 0.0 0.0 -0.3
2008 1.7 0.0 3.2 0.6 0.0 -1.1 -1.5 0.0 -0.7 0.0 -8.2 0.0 -6.3
2009 0.0 0.0 2.6 1.2 2.5 1.7 0.0 -2.5 -2.6 0.0 2.7 0.0 5.5
2010 1.8 0.8 1.8 0.0 -1.0 1.5 0.0 3.6 1.0 -0.4 2.8 0.0 12.4
2011 2.4 -1.4 0.9 0.0 -2.4 1.1 -1.3 -1.2 0.0 -3.1 -0.9 0.0 -5.8
2012 1.6 1.1 0.0 0.4 -2.5 0.0 0.0 0.0 0.8 1.2 0.0 0.0 2.6
2013 0.8 -0.2 -1.3 -0.6 0.0 0.9 1.4 0.0 0.5 -0.5 0.0 0.0 1.0
2014 0.0 0.0 0.6 0.3 0.0 0.9 -0.7 0.0 -1.2 0.0 -0.1 0.0 -0.2
2015 0.0 0.0 0.7 1.1 -0.3 0.6 0.0 -3.4 0.3 0.0 1.1 0.0 0.1
2016 -0.1 2.6 -1.1 0.0 -0.1 0.0 -0.7 0.7 0.0 -0.4 -0.4 0.0 0.5
2017 0.4 1.0 0.0 0.4 0.7 0.0 0.6 0.1 0.0 0.1 -0.4 0.0 2.9
2018 0.3 -1.7 0.0 -0.4 0.9 0.0 -0.5 0.0 0.1 1.3 0.0 0.0 0.0
2019 0.0 0.5 1.3 -0.6 0.0 0.5 -0.3 0.0 -1.0 0.9 0.0 -0.1 1.2

Row

Rolling Performance Chart

Snail Trail Chart